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Testing for financial crashes using the Log Periodic Power Law model
Brée, David S.; Joseph, Nathan Lael - In: International review of financial analysis 30 (2013), pp. 287-297
Persistent link: https://www.econbiz.de/10010461550
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On rational bubbles and fat tails
Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3,1, pp. 589-610
Persistent link: https://www.econbiz.de/10001698113
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Fractals and scaling in finance : discontinuity, concentration, risk
Mandelbrot, Benoît B. - 1997
Persistent link: https://www.econbiz.de/10000635535
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011898000
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On origins of bubbles
Kakushadze, Zura - In: Journal of risk & control 4 (2017) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012236797
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Finance and stochastics
Berlin : Springer - 1.1997 -
Persistent link: https://www.econbiz.de/10000610310
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Finance and stochastics
Berlin : Springer - 1.1996/97 -
Persistent link: https://www.econbiz.de/10001352743